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Very relieved to hear that.
Highest Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> Sorry, after I sent it I realised that you might think I was talking
about
> you. I wasn't. So, that means I must have been talking about someone
> else.
> -----Original Message-----
> From: Phsst [mailto:phsst@x...]
> Sent: Saturday, November 01, 2003 2:37 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Robustivity
>
>
> What's your meaning Chuck?
>
> Phsst
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > hhmm.... interesting. Same style of writing and same ISP as....
> no, must
> > be coincidence.
> > -----Original Message-----
> > From: Phsst [mailto:phsst@x...]
> > Sent: Saturday, November 01, 2003 1:55 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Robustivity
> >
> >
> > >A waterfall drop in this stock this last week and a lot of
> > divergences. Most systems will most likely fail! Take your 315
trading
> > days and see the results are any good. >
> >
> > Joe,
> >
> > Instead of anticipating why "most other systems" would have
failed on
> > NTES, why don't you tell us how your system picked up on this
great
> > opportunity. That might be a little more productive, don't you
think
> >
> > Phsst
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Joe"
<run_for_your_life2003@xxxx>
> > wrote:
> > > NTES is a good example to "test your system" to see how
robust your
> > > system really can function. A waterfall drop in this stock
this last
> > > week and a lot of divergences.
> > > Most systems will most likely fail! Take your 315 trading
days and
> > > see the results are any good.
> > >
> > > I just went "long" today on this stock...my system gave me a
"buy".
> > > I learnt to follow it regardless how much of a drop a stock can
> drop.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@xxxx>
> > > wrote:
> > > > Steve,
> > > >
> > > > Thanks for the "splaining"....
> > > >
> > > > Anthony
> > > > ----- Original Message -----
> > > > From: CedarCreekTrading
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Friday, October 31, 2003 12:09 PM
> > > > Subject: Re: [amibroker] Robustivity
> > > >
> > > >
> > > > am I missing something?
> > > >
> > > > Dave,
> > > >
> > > > Sometimes it's tough to address issues and provide the
specifics
> > > that folks are seeking. So, I will try to "splain" it better.
> > > >
> > > > If I am using the CMO5 with triggers of 34/-34, I would
go back
> > > and start a test to evaluate this system and triggers. The
starting
> > > period would be whatever date you pick (1990, '97, 2000, etc.).
> > > >
> > > > Next, I run the test over 315 trading days (this period
gives me
> > > results for approximately one year..it takes "x" amount of
> periods to
> > > load the TRIX(21), which I use as a trend identifier. My
approach
> > > produces about 10 to 15 round turn trades a year... in each
stock.
> > > >
> > > > I then rank all issues by one criteria: percent return
per day
> > > (while the money is in the market). If you only consider the
> percent
> > > per day contributions, I think you will find that all other
"book
> > > learned" ratios come out just fine. Numbers lie. Would you
rather
> > > trade a $100 stock that returns $20 or a $20 stock that
returns $10?
> > > Percent per goes a long way to normalizing the comparisons.
> > > >
> > > > I pick the 20 best percent per day stocks and trade them
for the
> > > next quarter. At the end of the quarter, I reevaluate the
> percentage
> > > per day contributions and reshuffle the issues in play, if
> necessary.
> > > >
> > > > Symtems don't go bad, stocks and commodities go bad.
Going bad
> > > is best defined by a change in the pattern of supply and demand.
> The
> > > cream rises to the top of the list.
> > > >
> > > > Is this optimizing? Could be, by some definitions. If
all the
> > > odds are even money, who would you prefer to bet on: Chicago or
> > > Kansas City? KC is undefeated and Chicago couldn't beat the
local
> > > high school. My money is on KC.
> > > >
> > > > The stock betting setup is not handicapped (like almost all
> > > games). This is basically a even money play (with
subtractions for
> > > commission and slippage...juice/vigorish). If you have
9,000 issues
> > > to play, why won't someone want to bet on the strongest
performance?
> > > >
> > > > I know that the explanation might be over
simplified...but, the
> > > people who know me, in and out of this forum, know that this
is the
> > > way I do it. I'm not crusading for anything. This works. I've
> > > presented this simplistic approach publicly to large groups
and in a
> > > number of internet seminars. It continues to crank out
extraordinary
> > > profits.
> > > >
> > > > Please let me know if the paragraphs help to explain the
> ranking.
> > > >
> > > > Take care,
> > > >
> > > > Steve
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: Dave Merrill
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Friday, October 31, 2003 9:29 AM
> > > > Subject: RE: [amibroker] Robustivity
> > > >
> > > >
> > > > steve, thanks for your response.
> > > >
> > > > from your msg subject and the way you presented this
system, I
> > > thought you were offering it as an example of one you had
> objectively
> > > evaluated and determined to be robust. I was interested in
how you
> > > thought "robustivity" should be evaluated, since you seemed
to be
> > > contrasting your approach to walkforward optimization and the
> various
> > > other system measures people were talking about.
> > > >
> > > > what I'm hearing in your response below isn't what I would
> > > describe as a specific method for distinguishing accidentally
> > > gorgeous backtest results from robustness. you do mention
testing
> > > also at faster time frames, which isn't a technique that's been
> > > mentioned recently. but mostly, the robustness label here
seems to
> > > come from your integration of various aspects of your long
> experience
> > > with it, like your visual sense of how it behaves. am I missing
> > > something?
> > > >
> > > > another question: you mention issue selection, the idea of
> > > looking for stocks you think will trade well with a particular
> > > indicator, rather than the other way around. how do you do
that? by
> > > measuring raw past growth trading that indicator? other
measures?
> > > >
> > > > thanks again,
> > > >
> > > > dave
> > > > just for my understanding, in what sense is this
> > > system "robust"?
> > > >
> > > > Well, first, this was presented to the public in the
late
> > > 90's, at a series of seminars that I conducted for Equis. Same
> > > indicator, same triggers, same everything. This robust
"thing" is a
> > > tough one to define. I'll try to explain what's important
to me,
> > > but, it's very subjective and just one person's opinion.
> > > >
> > > > is it because results are similar with different similar
> > > periods and thresholds?
> > > >
> > > > If you take this CMO5 indicator and step down in time
> (5, 10,
> > > 60 minutes), you need to widen the triggers to obtain decent
> > > results. Other than that, it trades through time-zones with
very
> > > good results.
> > > >
> > > > that seems unlikely, since there isn't very far to
go from 5
> > > to hit 1 and 0, which I'd guess are significantly different.
what
> > > sort of testing led you to decide on this period and
threshold, and
> > > this system for that matter?
> > > >
> > > > If you're referring to the CMO5...I first started
testing it
> > > six years ago. I've tested and eyeballed every version of
CMO(x).
> > > I've created a few indicators that combines different
periods of the
> > > CMO. For my money, for my style, this judge of momentum
trades more
> > > things, more accurately than any other indicator I am aware of.
> As I
> > > have begged many times: give me something better...I'll use it
> > > instead of this.
> > > >
> > > > is it robust because it works well on many stocks,
indexes
> > > and funds over a long period of time?
> > > >
> > > > Yes, it works well on many stocks and indexes. I don't
> trade
> > > funds, but, some fund managers, DTG members, use versions of
the CMO
> > > to aid their timing.
> > > >
> > > > because of the concepts behind the indicator itself?
> > > >
> > > > I process visually. The math is beyond me. My
bottom line
> > > has always been the same: give me an indicator that is
smooth, yet
> > > sensitive to intermediate and major market turns. After gawking
> > > hundreds of charts, everyday, for the last six years, I'm
amazed at
> > > how this indicator quantifies momentum. I like versions of the
> > > Stochastic RSI and the Standard Error Oscillator, but dollar for
> > > dollar, the CMO does it for me.
> > > >
> > > > something else?
> > > >
> > > > I think there's a few other things to mention. First of
> all,
> > > the ETF's that I showed were chosen because they represent a
broad
> > > range of stocks and are popular trading instruments. Do I
suggest
> > > trading these issues with this system? No way. The CMO5
trades a
> > > lot of other issues with better results than the ETF's. I
always
> > > allow the issues "to pick themselves". Trade the issues
that return
> > > the greatest percentages in a stable system.
> > > >
> > > > In it's stripped down version, as presented, the
CMO5 is an
> > > indicator that can return steady profits (see equity lines)
in it's
> > > rawest unoptimized form. Is that robust?
> > > >
> > > > Robustness and optimizing/over-optimizing are
> fascinating and
> > > misunderstood subjects. Over the years, I've constantly
simplified
> > > my approaches. I can improve on the results of the three
ETF's by
> > > simply "tweaking" the trigger levels. But, will it walk forward
> > > better than the default triggers of 34/-34? At least what I
> > > presented was out of sample.
> > > >
> > > > If an approach does a good job of identifying
movement of
> > > supply and demand, the approach should not be expected to work
> on all
> > > issues. To say a system needs to work on all issues is total
> > > crap. To say that a system sucks because it doesn't work
on XYZ is
> > > another large pile. Build simple things and concentrate on
issue
> > > selection.
> > > >
> > > > Optimization leads to dark and spooky places.
Ranking leads
> > > you down the yellow brick road.
> > > >
> > > > Take care,
> > > >
> > > > Steve
> > > >
> > > > steve, thanks for sharing this (again).
> > > >
> > > >
> > > > just for my understanding, in what sense is this
> > > system "robust"?
> > > >
> > > > is it because results are similar with different
similar
> > > periods and thresholds? that seems unlikely, since there
isn't very
> > > far to go from 5 to hit 1 and 0, which I'd guess are
significantly
> > > different. what sort of testing led you to decide on this
period and
> > > threshold, and this system for that matter?
> > > >
> > > > is it robust because it works well on many stocks,
indexes
> > > and funds over a long period of time?
> > > >
> > > > because of the concepts behind the indicator itself?
> > > >
> > > > something else?
> > > >
> > > >
> > > > I'm not disputing the system's value, which I haven't
> > > tested yet. I'm trying to understand what kind of process you go
> > > through to settle on a system and settings.
> > > >
> > > > thanks,
> > > >
> > > > dave
> > > >
> > > > 1. This exact system was presented over a year
ago at
> > > this forum
> > > > 2. The charts are OOS (since, it's been posted
publicly
> > > forever)
> > > > 3. Rules are simple: Buy the opening of the
next day
> > > when the CMO5 closes below -34 and sell when it triggers
above 34.
> > > >
> > > > Works on most issues (raw). Works better if:
> > > >
> > > > a. You take trades only with the trend
> > > > b. You protect yourself from large drawdowns (stop)
> > > > c. You conjure a profit target (limit)
> > > > d. You put in a time stop
> > > >
> > > > This is the guts of an indicator and a logical
> systematic
> > > approach. Whistles and bells are optional (but, in my opinion
> > > necessary). Again, if you start with a pig, the prom dress
doesn't
> > > make it look any better. Don't hang ornaments on a twisted
> Christmas
> > > tree.
> > > >
> > > >
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